SPHQ vs. FQAL

Last updated Jun 24, 2026

SPHQ (Invesco S&P 500 Quality ETF) and FQAL (Fidelity Quality Factor ETF) are both exchange-traded funds - SPHQ is a S&P 500 fund tracking the S&P 500 Quality Index, while FQAL is a Large Cap Growth Equities fund tracking the Fidelity U.S. Quality Factor Index. Both are passively managed. Over the past 5 years, SPHQ returned 14.14%/yr vs 11.74%/yr for FQAL. Their correlation of 0.93 suggests significant overlap in exposure. SPHQ charges 0.15%/yr vs 0.29%/yr for FQAL.

Performance

SPHQ vs. FQAL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P 500 Quality ETF (SPHQ) and Fidelity Quality Factor ETF (FQAL). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SPHQ achieves a 16.54% return, which is significantly higher than FQAL's 6.05% return.

SPHQ

• 1D: -2.93%
• 1M: 2.94%
• YTD: 16.54%
• 6M: 15.11%
• 1Y: 25.84%
• 3Y*: 22.34%
• 5Y*: 14.14%
• 10Y*: 15.46%

FQAL

• 1D: -0.86%
• 1M: -0.99%
• YTD: 6.05%
• 6M: 4.85%
• 1Y: 19.02%
• 3Y*: 18.84%
• 5Y*: 11.74%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

SPHQ vs. FQAL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SPHQ Invesco S&P 500 Quality ETF	16.54%	13.25%	25.44%	24.83%	-15.76%	28.03%	17.36%	33.64%	-7.10%	19.10%
FQAL Fidelity Quality Factor ETF	6.05%	16.93%	21.92%	24.20%	-19.70%	32.13%	16.17%	28.12%	-4.39%	23.03%

Correlation

The correlation between SPHQ and FQAL is 0.84, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.93
Correlation (All Time) Calculated using the full available price history since Sep 15, 2016	0.93

The correlation between SPHQ and FQAL has been stable across timeframes, ranging from 0.84 to 0.93 - a consistent structural relationship.

SPHQ vs. FQAL - Sectors Allocation Comparison

Sectors	SPHQ	FQAL
Technology	32.0%	37.7%
Industrials	22.7%	8.8%
Consumer Defensive	14.4%	4.3%
Financial Services	12.4%	11.6%
Healthcare	8.0%	8.7%
Consumer Cyclical	4.4%	9.2%
Communication Services	2.5%	10.0%
Basic Materials	2.1%	2.1%
Utilities	0.9%	2.0%
Energy	0.6%	3.5%
Real Estate	-	2.1%

Return for Risk

SPHQ vs. FQAL — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SPHQ

SPHQ Risk / Return Rank: 61
SPHQ Sharpe Ratio Rank: 60
SPHQ Sortino Ratio Rank: 60
SPHQ Omega Ratio Rank: 56
SPHQ Calmar Ratio Rank: 61
SPHQ Martin Ratio Rank: 70

FQAL

FQAL Risk / Return Rank: 51
FQAL Sharpe Ratio Rank: 50
FQAL Sortino Ratio Rank: 50
FQAL Omega Ratio Rank: 49
FQAL Calmar Ratio Rank: 48
FQAL Martin Ratio Rank: 59

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SPHQ vs. FQAL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Quality ETF (SPHQ) and Fidelity Quality Factor ETF (FQAL). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	SPHQ	FQAL	Difference
Sharpe ratio: Return per unit of total volatility	1.94	1.66	+0.27
Sortino ratio: Return per unit of downside risk	2.74	2.36	+0.37
Omega ratio: Gain probability vs. loss probability	1.34	1.30	+0.04
Calmar ratio: Return relative to maximum drawdown	2.92	2.27	+0.65
Martin ratio: Return relative to average drawdown	12.48	10.13	+2.35

SPHQ vs. FQAL - Sharpe Ratio Comparison

The current SPHQ Sharpe Ratio is 1.94, which is comparable to the FQAL Sharpe Ratio of 1.66. The chart below compares the historical Sharpe Ratios of SPHQ and FQAL, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

SPHQ vs. FQAL - Drawdown Comparison

The maximum SPHQ drawdown since its inception was -57.83%, which is greater than FQAL's maximum drawdown of -33.71%. Use the drawdown chart below to compare losses from any high point for SPHQ and FQAL.

Drawdown Indicators

	SPHQ	FQAL	Difference
Max Drawdown Largest peak-to-trough decline	-57.83%	-33.71%	-24.12%
Max Drawdown (1Y) Largest decline over 1 year	-8.90%	-8.43%	-0.47%
Max Drawdown (3Y) Largest decline over 3 years	-16.57%	-16.87%	+0.30%
Max Drawdown (5Y) Largest decline over 5 years	-25.04%	-25.50%	+0.46%
Max Drawdown (10Y) Largest decline over 10 years	-31.60%	—	—
Current Drawdown Current decline from peak	-2.93%	-2.19%	-0.74%
Average Drawdown Average peak-to-trough decline	-10.68%	-4.57%	-6.11%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.07%	1.88%	+0.19%

Volatility

SPHQ vs. FQAL - Volatility Comparison

Invesco S&P 500 Quality ETF (SPHQ) has a higher volatility of 5.88% compared to Fidelity Quality Factor ETF (FQAL) at 3.75%. This indicates that SPHQ's price experiences larger fluctuations and is considered to be riskier than FQAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SPHQ	FQAL	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.88%	3.75%	+2.13%
Volatility (6M) Calculated over the trailing 6-month period	11.30%	9.06%	+2.24%
Volatility (1Y) Calculated over the trailing 1-year period	13.46%	11.54%	+1.92%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.59%	16.23%	+0.36%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.91%	17.57%	+0.34%

SPHQ vs. FQAL - Expense Ratio Comparison

SPHQ has a 0.15% expense ratio, which is lower than FQAL's 0.29% expense ratio.

Dividends

SPHQ vs. FQAL - Dividend Comparison

SPHQ's dividend yield for the trailing twelve months is around 1.07%, less than FQAL's 1.19% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FQAL Fidelity Quality Factor ETF	1.19%	1.12%	1.20%	1.35%	1.52%	1.17%	1.46%	1.55%	1.73%	1.53%	0.43%	0.00%
SPHQ Invesco S&P 500 Quality ETF	1.07%	1.09%	1.15%	1.42%	1.85%	1.19%	1.55%	1.51%	1.85%	1.57%	1.67%	2.29%

Frequently Asked Questions

Can I hold both SPHQ and FQAL in my portfolio?

SPHQ and FQAL have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SPHQ or FQAL?

SPHQ has higher volatility (5.88%) compared to FQAL (3.75%). In terms of maximum drawdown, SPHQ dropped -57.83% vs FQAL's -33.71%.

Which ETF is better, SPHQ or FQAL?

On 5-year performance, SPHQ leads with 14.14% vs 11.74% for FQAL. On fees, SPHQ is cheaper at 0.15% per year. On volatility, FQAL has been the lower-risk option at 3.75%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SPHQ or FQAL?

Over the 5-year period, SPHQ has performed better with a 14.14% return vs 11.74%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SPHQ or FQAL?

SPHQ is cheaper with a 0.15% expense ratio, compared with 0.29% for FQAL.

Which ETF pays a higher dividend yield, SPHQ or FQAL?

FQAL has the higher dividend yield at 1.19%, compared with 1.07% for SPHQ.

What is the main difference between SPHQ and FQAL?

SPHQ is categorized as S&P 500, while FQAL is Large Cap Growth Equities. SPHQ tracks S&P 500 Quality Index, while FQAL tracks Fidelity U.S. Quality Factor Index. They also come from different issuers: Invesco and Fidelity. Their fees differ too: 0.15% for SPHQ and 0.29% for FQAL.

Which has better risk-adjusted returns?

SPHQ currently has the higher Sharpe Ratio (1.94 vs 1.66), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.